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Author: Apostolos Serletis
Publisher: World Scientific
ISBN: 9812770461
Category : Business & Economics
Languages : en
Pages : 304
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Book Description
Bringing together leading-edge research and innovative energy markets econometrics, this book collects the authorOCOs most important recent contributions in energy economics. In particular, the book: . OCo applies recent advances in the field of applied econometrics to investigate a number of issues regarding energy markets, including the theory of storage and the efficient markets hypothesis. OCo presents the basic stylized facts on energy price movements using correlation analysis, causality tests, integration theory, cointegration theory, as well as recently developed procedures for testing for shared and codependent cycles. OCo uses recent advances in the financial econometrics literature to model time-varying returns and volatility in energy prices and to test for causal relationships between energy prices and their volatilities. OCo explores the functioning of electricity markets and applies conventional models of time series analysis to investigate a number of issues regarding wholesale power prices in the western North American markets. OCo applies tools from statistics and dynamical systems theory to test for nonlinear dynamics and deterministic chaos in a number of North American hydrocarbon markets (those of ethane, propane, normal butane, iso-butane, naptha, crude oil, and natural gas)."
Author: Apostolos Serletis
Publisher: World Scientific
ISBN: 9812770461
Category : Business & Economics
Languages : en
Pages : 304
Get Book
Book Description
Bringing together leading-edge research and innovative energy markets econometrics, this book collects the authorOCOs most important recent contributions in energy economics. In particular, the book: . OCo applies recent advances in the field of applied econometrics to investigate a number of issues regarding energy markets, including the theory of storage and the efficient markets hypothesis. OCo presents the basic stylized facts on energy price movements using correlation analysis, causality tests, integration theory, cointegration theory, as well as recently developed procedures for testing for shared and codependent cycles. OCo uses recent advances in the financial econometrics literature to model time-varying returns and volatility in energy prices and to test for causal relationships between energy prices and their volatilities. OCo explores the functioning of electricity markets and applies conventional models of time series analysis to investigate a number of issues regarding wholesale power prices in the western North American markets. OCo applies tools from statistics and dynamical systems theory to test for nonlinear dynamics and deterministic chaos in a number of North American hydrocarbon markets (those of ethane, propane, normal butane, iso-butane, naptha, crude oil, and natural gas)."
Author:
Publisher:
ISBN: 981447617X
Category :
Languages : en
Pages :
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Book Description
Author: Fred Espen Benth
Publisher: Springer Science & Business Media
ISBN: 1461472482
Category : Business & Economics
Languages : en
Pages : 308
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Book Description
Finance and energy markets have been an active scientific field for some time, even though the development and applications of sophisticated quantitative methods in these areas are relatively new—and referred to in a broader context as energy finance. Energy finance is often viewed as a branch of mathematical finance, yet this area continues to provide a rich source of issues that are fuelling new and exciting research developments. Based on a special thematic year at the Wolfgang Pauli Institute (WPI) in Vienna, Austria, this edited collection features cutting-edge research from leading scientists in the fields of energy and commodity finance. Topics discussed include modeling and analysis of energy and commodity markets, derivatives hedging and pricing, and optimal investment strategies and modeling of emerging markets, such as power and emissions. The book also confronts the challenges one faces in energy markets from a quantitative point of view, as well as the recent advances in solving these problems using advanced mathematical, statistical and numerical methods. By addressing the emerging area of quantitative energy finance, this volume will serve as a valuable resource for graduate-level students and researchers studying financial mathematics, risk management, or energy finance.
Author: Sofia Ramos
Publisher: Springer
ISBN: 3642553826
Category : Business & Economics
Languages : en
Pages : 302
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Book Description
In the last decade, energy markets have developed substantially due to the growing activity of financial investors. One consequence of this massive presence of investors is a stronger link between the hitherto segmented energy and financial markets. This book addresses some of the recent developments in the interrelationship between financial and energy markets. It aims to further the understanding of the rich interplay between financial and energy markets by presenting several empirical studies that illustrate and discuss some of the main issues on this agenda.
Author: Stephane Goutte
Publisher: World Scientific
ISBN: 9813278390
Category : Business & Economics
Languages : en
Pages : 827
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Book Description
Modeling the dynamics of energy markets has become a challenging task. The intensification of their financialization since 2004 had made them more complex but also more integrated with other tradable asset classes. More importantly, their large and frequent fluctuations in terms of both prices and volatility, particularly in the aftermath of the global financial crisis 2008-2009, posit difficulties for modeling and forecasting energy price behavior and are primary sources of concerns for macroeconomic stability and general economic performance.This handbook aims to advance the debate on the theories and practices of quantitative energy finance while shedding light on innovative results and technical methods applied to energy markets. Its primary focus is on the recent development and applications of mathematical and quantitative approaches for a better understanding of the stochastic processes that drive energy market movements. The handbook is designed for not only graduate students and researchers but also practitioners and policymakers.
Author: Enrico Edoli
Publisher: Springer
ISBN: 1137412976
Category : Business & Economics
Languages : en
Pages : 192
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Book Description
As power and gas markets are becoming more and more mature and globally competitive, the importance of reaching maximum potential economic efficiency is fundamental in all the sectors of the value chain, from investments selection to asset optimization, trading and sales. Optimization techniques can be used in many different fields of the energy industry, in order to reduce production and financial costs, increase sales revenues and mitigate all kinds of risks potentially affecting the economic margin. For this reason the industry has now focused its attention on the general concept of optimization and to the different techniques (mainly mathematical techniques) to reach it. Optimization Methods for Gas and Power Markets presents both theoretical elements and practical examples for solving energy optimization issues in gas and power markets. Starting with the theoretical framework and the basic business and economics of power and gas optimization, it quickly moves on to review the mathematical optimization problems inherent to the industry, and their solutions – all supported with examples from the energy sector. Coverage ranges from very long-term (and capital intensive) optimization problems such as investment valuation/diversification to asset (gas and power) optimization/hedging problems, and pure trading decisions. This book first presents the readers with various examples of optimization problems arising in power and gas markets, then deals with general optimization problems and describes the mathematical tools useful for their solution. The remainder of the book is dedicated to presenting a number of key business cases which apply the proposed techniques to concrete market problems. Topics include static asset optimization, real option evaluation, dynamic optimization of structured products like swing, virtual storage or virtual power plant contracts and optimal trading in intra-day power markets. As the book progresses, so too does the level of mathematical complexity, providing readers with an appreciation of the growing sophistication of even common problems in current market practice. Optimization Methods for Gas and Power Markets provides a valuable quantitative guide to the technicalities of optimization methodologies in gas and power markets; it is essential reading for practitioners in the energy industry and financial sector who work in trading, quantitative analysis and energy risk modeling.
Author: Fred Espen Benth
Publisher: Springer
ISBN: 9783031505966
Category : Mathematics
Languages : en
Pages : 0
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Book Description
Power markets are undergoing a major transformation from gas and oil-fueled generation toward renewable electricity production from wind and solar sources. Simultaneously, there is an increasing demand for electrification, coupled with long-term climate-induced weather changes. The uncertainties confronting energy market participants require sophisticated modelling techniques to effectively understand risk, many of which are covered in this book. Comprising invited papers by high-profile researchers, this volume examines the empirical aspects of forward and futures prices, uncovering patterns of noise factors in various European electricity markets. Additionally, it delves into the recent, influential classes of Hawkes and trawl processes, emphasizing their significance in energy markets. The impact of renewables on energy market prices is a pivotal concern for both producers and consumers. Mean-field games provide a powerful mathematical framework for this, and a dedicated chapter outlining their dynamics is included in the book. The book also explores structural financial products and their connection to climate risk as a risk management tool, underscoring the essential need for a comprehensive understanding of these products in the realm of "green finance," to which the energy industry is integral. Lastly, the book thoroughly analyzes spatial smoothing and power purchase (PPA) contracts, addressing central issues in energy system planning and financial operations. Tailored for researchers, PhD students, and industry energy analysts, this volume equips readers with insights and tools to navigate the constantly evolving energy market landscape. It serves as a sequel to the earlier Quantitative Energy Finance book, featuring all-new chapters.
Author: Fred Espen Benth
Publisher: World Scientific
ISBN: 981281230X
Category : Business & Economics
Languages : en
Pages : 352
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Book Description
The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is known as spikes in the spot prices. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. The incompleteness of the markets, due to nonstorability of electricity and temperature as well as limited storage capacity of gas, makes spot-forward hedging impossible. Moreover, futures contracts are typically settled over a time period rather than at a fixed date. All these aspects of the markets create new challenges when analyzing price dynamics of spot, futures and other derivatives.This book provides a concise and rigorous treatment on the stochastic modeling of energy markets. Ornstein?Uhlenbeck processes are described as the basic modeling tool for spot price dynamics, where innovations are driven by time-inhomogeneous jump processes. Temperature futures are studied based on a continuous higher-order autoregressive model for the temperature dynamics. The theory presented here pays special attention to the seasonality of volatility and the Samuelson effect. Empirical studies using data from electricity, temperature and gas markets are given to link theory to practice.
Author: Ferdinand E Banks
Publisher: World Scientific Publishing Company
ISBN: 9814630241
Category : Business & Economics
Languages : en
Pages : 512
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Book Description
This book is an up-to-date primer covering the most important subjects in energy economics, with particular attention paid to oil, natural gas, and nuclear energy, and without an excessive amount of mathematics. The first three survey chapters constitute an introductory (and mostly non-technical) short course in modern energy economics. Most of the technical analysis is taken up in the following four chapters, while the last chapter is a completely non-technical summation that can be read independent of the rest of the book. Written in a user-friendly tone, it is suitable as a textbook for undergraduate and/or graduate students, but most of the book should be accessible to anyone with a serious interest in energy economics. Request Inspection Copy
Author: Ariel Dinar
Publisher: World Scientific Publishing Company
ISBN: 9814436674
Category : Political Science
Languages : en
Pages : 432
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Book Description
Bridges over Water places the study of transboundary water conflicts, negotiation, and cooperation in the context of various disciplines, such as international relations, international law, international negotiations, and economics. It demonstrates their application, using various quantitative approaches, such as river basin modeling, quantitative negotiation theory, and game theory. Case-studies of particular transboundary river basins, lakes, and aquifers are also considered. This second edition updates the literature on international water and in-depth analyses on political developments and cooperation between riparian states. With an appended chapter on principles and practices of negotiation, and a new case study on the La Plata Basin, this edition is a timely update to the field of transboundary water studies.
